The influence of social media on stock volatility
Xianjiao WU;Xiaolin WANG;Shudong MA;Qiang YES;
【期刊名称】《工程管理前沿：英文版》 【年(卷),期】2017(000)002
【摘要】This study explores the influence of social media on stock volatility and builds a feature model with an intelligence algorithm using social media data from Xueqiu.com in China, Sina Finance and Economics, Sina Microblog, and Oriental Fortune. We find that the effect of social factors, such as increased attention to a stock’s volatility, is more significant than public sentiment. A prediction model is introduced based on social factors and public sentiment to predict stock volatility. Our findings indicate that the influence of social media data on the next day’s volatility is more significant but declines over time.
【总页数】11页(P.201-211) 【关键词】
【作者】Xianjiao WU;Xiaolin WANG;Shudong MA;Qiang YES;
【作者单位】School of Management, Harbin Institute of Technology;School Technology;School
of of
Management, Management,
Harbin Harbin
Institute Institute
of of
Technology;School of Management, Harbin Institute of Technology; 【正文语种】英文
The influence of social media on stock volatility
